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    CSDA
    2008
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    Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
    13 years 11 months ago
    Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
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    The finite sample properties of the Fourier estimator of integrated volatility under market microstructure noise are studied. Analytic expressions for the bias and the mean square...
    M. E. Mancino, S. Sanfelici
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